A new approach to the \(H_{\infty}\) design of optimal digital linear filters. (English) Zbl 0678.93063

Summary: A novel approach to the solution of the \(H_{\infty}\) estimation problem is developed. The solution is arrived at by embedding the problem within a fictitious mathematically equivalent \(\ell_ 2\) framework in which a stable prefilter is introduced at the input of each noise source. The development is straightforward and relies on a polynomial system technique. Two numerical examples are presented to demonstrate the proposed approach.


93E11 Filtering in stochastic control theory
93E10 Estimation and detection in stochastic control theory
46J15 Banach algebras of differentiable or analytic functions, \(H^p\)-spaces
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